dr. F.C. Drost

Tilburg School of Economics and Management

Table of contents

• Journal articles
• Book chapters
• Working and/or discussion papers
• Reports (government and other final research reports)

Journal articles

• 2009
  • Drost, F.C., Akker, R. van den, & Werker, B.J.M. (2009). Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models. Journal of the Royal Statistical Society, Series B, 71(2), 467-485.
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  • Drost, F.C., Akker, R. van den, & Werker, B.J.M. (2009). The asymptotic structure of nearly unstable non negative integer-valued AR(1) models. Bernoulli, 15(2), 297-324.
    (Free access)
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• 2008
  • Drost, F.C., Akker, R. van den, & Werker, B.J.M. (2008). Local asymptotic normality and efficient estimation for inar (P) models. Journal of Time Series Analysis, 29(5), 783-801.
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  • Drost, F.C., Akker, R. van den, & Werker, B.J.M. (2008). Note on integer-valued bilinear time series models. Statistics & Probability Letters, 78(8), 992-996.
    (Free access)
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• 2007
  • Boes, M.J., Drost, F.C., & Werker, B.J.M. (2007). The impact of overnight periods on option pricing. Journal of Financial and Quantitative Analysis, 42(2), 517-534.
    (Free access)
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• 2004
  • Drost, F.C., & Werker, B.J.M. (2004). Semiparametric duration models. Journal of Business and Economic Statistics, 22(1), 40-50.
    (Free access)
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• 2001
  • Jong, F.C.J.M. de, Drost, F.C., & Werker, B.J.M. (2001). A jump diffusion model for exchange rates in a target zone. Statistica Neerlandica, 55, 269-299.
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• 1999
  • González-Rivera, G., & Drost, F.C. (1999). Efficiency comparisons of maximum-likelihood-based estimators in GARCH models. Journal of Econometrics, 93(1), 93-111.
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• 1998
  • Werker, B.J.M., Drost, F.C., & Nijman, T.E. (1998). Estimation and testing in models containing both jumps and conditional heteroskedasticity. Journal of Business and Economic Statistics, 16, 237-243.
    (More)
• 1997
  • Drost, F.C., Klaassen, C.A.J., & Werker, B.J.M. (1997). Adaptive estimation in time-series models. Annals of Statistics, 25(2), 786-817.
    (Free access)
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  • Drost, F.C., & Klaassen, C.A.J. (1997). Efficient estimation in semiparametric GARCH models. Journal of Econometrics, 81(1), 193-221.
    (Free access)
    (More)
• 1996
  • Werker, B.J.M., & Drost, F.C. (1996). Closing the GARCH gap: Continuous time GARCH modeling. Journal of Econometrics, 74, 31-57.
    (Free access)
    (More)
• 1993
  • Drost, F.C., & Nijman, T.E. (1993). Temporal aggregation of GARCH processes. Econometrica, 61(4), 909-927.
    (Free access)
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• 1990
  • Drost, F.C., Kallenberg, W.C.M., & Oosterhoff, J. (1990). The power of EDF tests of fit under non-robust estimation of nuisance parameters. Statistics and Decisions, 8, 167-182.
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Book chapters

• 1995
  • Drost, F.C., & Nijman, T.E. (1995). Temporal aggregation of GARCH processes. In R.F. Engle (Ed.), ARCH: Selected readings (pp. 221-240). Oxford: Oxford University Press. (Advanced texts in econometrics).
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• 1994
  • Drost, F.C. (1994). Temporal aggregation in time-series. In J. Kaehler & P. Kugler (Eds.), Econometric analysis of financial markets (pp. 11-22). Heidelberg: Physica-Verlag. (Studies in empirical economics).
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  • Werker, B.J.M., Drost, F.C., & Klaassen, C.A.J. (1994). Adaptiveness in time series models. In P. Mandl & M. Husková (Eds.), Asymptotic statistics (pp. 203-211). Amsterdam: North-Holland.
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• 1993
  • Drost, F.C., & Kallenberg, W.C.M. (1993). Comparison of tests and local families. In J.K. Ghosh, S.K. Mitra, K.R. Parthasarathy, & B.L.S. Prakasa Rao (Eds.), Statistics and probability: A Raghu Raj Bahadur Festschrift (pp. 303-324). New Delhi: Wiley Eastern.
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• 1989
  • Drost, F.C., Oosterhoff, J., Moore, D.S., & Kallenberg, W.C.M. (1989). Asymptotic error bounds for power approximations to multinomial tests of fit. In L.J. Gleser (Ed.), Contributions to probability and statistics: Essays in honor of Ingram Olkin (pp. 429-446). New York: Springer.
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Working and/or discussion papers

• 2008
  • Drost, F.C., Akker, R. van den, & Werker, B.J.M. (2008). Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23). (CentER Discussion Paper, 2008-53, 2008-053) pp. 1-39.
    (Free access)
    (More)
• 2007
  • Drost, F.C., Akker, R. van den, & Werker, B.J.M. (2007). Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53). (CentER Discussion Paper, 2007-23, 2007-023) pp. 1-38.
    (More)
  • Drost, F.C., Akker, R. van den, & Werker, B.J.M. (2007). Note on Integer-Valued Bilinear Time Series Models. (CentER Discussion Paper, 2007-47, 2007-047) pp. 1-7.
    (Free access)
    (More)
• 2006
  • Drost, F.C., Akker, R. van den, & Werker, B.J.M. (2006). An Asymptotic Analysis of Nearly Unstable inar (1) Models. (CentER Discussion Paper, 2006-44, 2006-044) pp. 1-35.
    (Free access)
    (More)
  • Drost, F.C., Akker, R. van den, & Werker, B.J.M. (2006). Local Asymptotic Normality and Efficient Estimation for inar (P) Models. (CentER Discussion Paper, 2006-45, 2006-045) pp. 1-30.
    (Free access)
    (More)
• 2005
  • Boes, M.J., Drost, F.C., & Werker, B.J.M. (2005). The Impact of Overnight Periods on Option Pricing. (CentER Discussion Paper, 2005-1, 2005-001) pp. 1-19.
    (Free access)
    (More)
• 2001
  • Drost, F.C., & Werker, B.J.M. (2001). Semiparametric Duration Models. (CentER Discussion Paper, 2001-11, 2001-011) pp. 1-26.
    (Free access)
    (More)
• 1998
  • Gonzalez-Rivera, G., & Drost, F.C. (1998). Efficiency comparisons of maximum likelihood-based estimators in garch models. (CentER Discussion Paper, 1998-124, 1998-124)
    (Free access)
    (More)
  • Gonzalez-Rivera, G., & Drost, F.C. (1998). Efficiency comparisons of maximum likelihood-based estimators in garch models. (CentER Discussion Paper, 1998-124, 1998-124)
    (Free access)
    (More)
  • González-Rivera, G., & Drost, F.C. (1998). Efficiency Comparisons of Maximum Likelihood-Based Estimators in GARCH Models. (CentER Discussion Paper, 1998-124, 1998-124) pp. 1-18.
    (More)
• 1997
  • Jong, F.C.J.M. de, Drost, F.C., & Werker, B.J.M. (1997). Exchange rate target zones: A new approach. (CentER Discussion Paper, 97.04, 97.04-000) pp. 1-35.
    (Free access)
    (More)
• 1996
  • Drost, F.C., & Klaassen, C.A.J. (1996). Efficient Estimation in Semiparametric GARCH Models. (CentER Discussion Paper, 1996-38, 1996-038) pp. 1-29.
    (Free access)
    (More)
• 1994
  • Drost, F.C., & Nijman, T.E. (1994). Temporal aggregation of GARCH processes. (Reprint series / CentER for Economic Research, 144)
    (Free access)
    (More)
  • Drost, F.C., Nijman, T.E., & Werker, B.J.M. (1994). Estimation and testing in models containing both jumps and conditional heteroskedasticity. (CentER Discussion Paper, 1994-105, 1994-105)
    (Free access)
    (More)
  • Drost, F.C., & Werker, B.J.M. (1994). Closing the GARCH gap: Continuous time GARCH modeling. (CentER Discussion Paper, 1994-2, 1994-002)
    (Free access)
    (More)
  • Drost, F.C., Klaassen, C.A.J., & Werker, B.J.M. (1994). Adaptive estimation in time-series models. (CentER Discussion Paper, 1994-88, 1994-088)
    (Free access)
    (More)
• 1993
  • Drost, F.C., & Werker, B.J.M. (1993). A note on Robinson's test of independence. (CentER Discussion Paper, 1993-15, 1993-000)
    (Free access)
    (More)
• 1992
  • Drost, F.C., & Nijman, T.E. (1992). Temporal aggregation of GARCH processes. (CentER Discussion Paper, 1992-40, 1992-040)
    (Free access)
    (More)
• 1990
  • Drost, F.C., & Nijman, T.E. (1990). Temporal aggregation of GARCH processes. (CentER Discussion Paper, 1990-66, 1990-066)
    (Free access)
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• 1988
  • Drost, F.C. (1988). How to define UMVU. (Research memorandum / Tilburg University, Department of Economics, FEW 362)
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Reports (government and other final research reports)

• 1997
  • Jong, F.C.J.M. de, Drost, F.C., & Werker, B.J.M. (1997). A Jump-Diffusion Model for Exchange-Rates in a Target Zone. pp. 1-34.
    (Free access)
    (More)
• 1988
  • Drost, F.C. (1988). Asymptotics for generalized chi-square goodness-of-fit tests. (CWI tract, 48) Amsterdam: Centrum voor Wiskunde en Informatica.
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